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George E. Tauchen, William Henry Glasson Professor of Economics and Professor of Finance

George E. Tauchen

George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Scholar/Teacher of the Year. Professor Tauchen is an internationally known time series econometrician. He has developed several important new techniques for making statistical inference from financial time series data and for testing models of financial markets.  He has given invited lectures at many places around the world, including London, Paris, Beijing, Taipei, Hong Kong, and Sydney. His current research (with Professor Li of Duke) examines the impact of large jump-like moves in stock market returns on the returns of various portfolios and individual securities.  He is a former editor of the Journal of Business and Economic Statistics (JBES) and former associate editor of Econometrica, Econometric Theory, The Journal of the American Statistical Association (JASA), and JBES.   He is currently Co-Editor of the Journal of Financial Econometrics.

Contact Info:
Office Location:  224 Social Sciences, Durham, NC 27708
Office Phone:  (919) 660-1812
Email Address: send me a message
Web Page:  http://www.econ.duke.edu/~get/

Education:

Ph.D.University of Minnesota, Twin Cities1978
B.A.University of Wisconsin at Madison1971
Specialties:

Econometrics
Financial Economics
Mathematical and Quantitative Methods
Research Interests: Econometrics, Financial Economics

Professor Tauchen's research areas are financial economics and time series econometrics. He is a fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has published numerous articles in the areas of econometrics and financial economics. Professor Tauchen presents his research findings internationally in such cities as Buenos Aires, Taipei, Helsinki, Sydney, Paris, Madrid, Vienna, Tokyo, Chile, and London. He regularly gives research seminars at major research universities and institutions world-wide.

Areas of Interest:

Econometrics
Financial Economics

Curriculum Vitae  Bio
Current Ph.D. Students   (Former Students)

    Working Papers   (More Publications)

    1. G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder, Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability, (submitted) (2011)
    2. G. Tauchen, Stochastic Volatility in General Equilibrium (Summer, 2005)
    3. G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis (Summer, 2004) [htm]
    4. G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis (Summer, 2004)
    Recent Publications   (More Publications)

    1. Li, J; Todorov, V; Tauchen, G; Lin, H, Rank Tests at Jump Events, Journal of Business & Economic Statistics, vol. 37 no. 2 (April, 2019), pp. 312-321, Informa UK Limited [doi]  [abs]
    2. Ronald Gallant, A; Tauchen, G, Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale, Journal of Econometrics, vol. 205 no. 1 (July, 2018), pp. 140-155, Elsevier BV [doi]  [abs]
    3. Davies, R; Tauchen, G, Data-driven jump detection thresholds for application in jump regressions, Econometrics, vol. 6 no. 2 (June, 2018), pp. 16-16, MDPI AG [doi]  [abs]
    4. Li, J; Todorov, V; Tauchen, G; Chen, R, Mixed-scale jump regressions with bootstrap inference, Journal of Econometrics, vol. 201 no. 2 (December, 2017), pp. 417-432 [doi]  [abs]
    5. Li, J; Todorov, V; Tauchen, G, Adaptive estimation of continuous-time regression models using high-frequency data, Journal of Econometrics, vol. 200 no. 1 (September, 2017), pp. 36-47, Elsevier BV [doi]  [abs]
    Conferences Organized

    • Co-Chair : Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronal Gallant. May 1, 2011, Co-Chair : Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronal Gallant, 1 May 2011  
    • 2007 North American Summer Meeting of the Econometric Society, Program Chair, March 1, 2006 - December 31, 2007  
    • Conference on the Risk Neutral and Objective Probability Distributions, Co-Organizer, October 2000  
    • 1997 NSF-NBER Time Series Meeting, Co-organizer, October 1997  
    • Conference on New Computational Methods in Economics and Finance, Co-organizer, September 1995  
    • CIRANO/CRDE International Conference on Stochastic Volatility, Co-organizer, October 1994  
    • Triangle Econometrics Conference, Co-organizer, December 1993-1998  
    • Workshop on Nonlinear Dynamic Models, Organizer, 1989  
    • Conference on Nonparametric and Semiparametric Methods in Statistics and Econometrics, Co-organizer, May 1988  

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